经济政策不确定性宏观金融效应的统计测度研究
Measuring of macro financial effects of economic policy uncertainty
查看参考文献33篇
|
文摘
|
本文基于Diebold和Yilmaz (2012)提出的溢出指数,研究2006年6月至2018年10月中国、美国和全球经济政策不确定性的宏观金融效应.选取宏观金融的核心领域,分析经济政策不确定性对中国股市、汇率和大宗商品的静态溢出效应及其动态变化,并进一步探讨经济政策不确定性宏观金融效应的空间异质性.本文的主要结论为:第一,比较中国自身和其他经济体的经济政策不确定性效应,中国自身经济政策不确定性的宏观金融效应最强.稳定股票市场,预防外资恶意做空中国股票市场是规避宏观金融效应带来的系统性金融风险的有效手段.第二,经济政策不确定性对中国宏观金融市场的净溢出具有显著的时变特征,且与特殊事件具有很强的关联性.第三,不同国家或地区经济政策不确定性的宏观金融效应空间异质性主要表现在溢出强度和溢出同步性两个方面. |
|
其他语种文摘
|
Based on the spillover index proposed by Diebold and Yilmaz (2012),this paper studies the impact of China,US and global economic policy uncertainty on the core areas of China's macro finance from June 2006 to October 2018.This paper analyzes the static spillover effects and its dynamic changes of economic policy uncertainty on China's stock market,exchange rate and commodities,and further explores the spatial heterogeneity of spillover effects.The main conclusions of this paper are that:1) China's economic policy uncertainty has the greatest impact on China's macro financial core areas.Stabilizing the stock market and preventing the malicious short-selling of the Chinese stock market is an effective means to avoid the systemic financial risks brought about by the macro financial effect.2) The uncertainty of economic policy has a significant time-varying feature for the net spillover of China's macro financial market.And it has a strong correlation with specific events.3) The spatial heterogeneity of macro financial effects of economic policy uncertainty in different countries or regions is mainly reflected in the two aspects-Intensity and synchronization of spillover. |
|
来源
|
系统工程理论与实践
,2021,41(8):1897-1910 【核心库】
|
|
DOI
|
10.12011/SETP2019-2006
|
|
关键词
|
经济政策不确定性
;
宏观金融效应
;
溢出指数
;
空间异质性
|
|
地址
|
1.
广州大学金融研究院, 广州, 510405
2.
广州大学经济与统计学院, 广州, 510006
|
|
语种
|
中文 |
|
文献类型
|
研究性论文 |
|
ISSN
|
1000-6788 |
|
学科
|
社会科学总论 |
|
基金
|
广东省社科规划基金项目金融专项
;
国家教育部人文社会科学研究项目
|
|
文献收藏号
|
CSCD:7039792
|
参考文献 共
33
共2页
|
|
1.
马丹. 大维不可观测变量的中国宏观经济不确定性测度研究.
统计研究,2018,35(10):44-57
|
CSCD被引
2
次
|
|
|
|
|
2.
田磊. 政策不确定性是中国经济波动的主要因素吗基于混合识别法的创新实证研究.
财贸经济,2017,38(1):5-20
|
CSCD被引
2
次
|
|
|
|
|
3.
Jurado K. Measuring uncertainty.
American Economic Review,2015,105(3):1177-1216
|
CSCD被引
22
次
|
|
|
|
|
4.
Handley K. Policy uncertainty, trade, and welfare: Theory and evidence for China and the United States.
American Economic Review,2017,107(9):2731-2783
|
CSCD被引
11
次
|
|
|
|
|
5.
Tiwari A K. Geopolitical risk, economic policy uncertainty and tourist arrivals: Evidence from a developing country.
Tourism Management,2019,75:323-327
|
CSCD被引
2
次
|
|
|
|
|
6.
孟庆斌. 宏观经济不确定性与企业最优资产结构.
系统工程理论与实践,2019,39(2):286-297
|
CSCD被引
6
次
|
|
|
|
|
7.
Leduc S. Uncertainty shocks are aggregate demand shocks.
Journal of Monetary Economics,2016,82:20-35
|
CSCD被引
6
次
|
|
|
|
|
8.
Caggiano G. Economic policy uncertainty and unemployment in the United States: A nonlinear approach.
Economics Letters,2017,151:31-34
|
CSCD被引
4
次
|
|
|
|
|
9.
田磊. 经济政策不确定性兼具产出效应和通胀效应吗?来自中国的经验证据.
南开经济研究,2016(2):3-24
|
CSCD被引
8
次
|
|
|
|
|
10.
Baker S R. Measuring economic policy uncertainty.
The Quarterly Journal of Economics,2016,131(4):1593-1636
|
CSCD被引
133
次
|
|
|
|
|
11.
Liu Y. The measurement and transmission of macroeconomic uncertainty: Evidence from the US and BRIC countries.
International Journal of Forecasting,2019,35(3):967-979
|
CSCD被引
1
次
|
|
|
|
|
12.
Zhang D. Economic policy uncertainty in the US and China and their impact on the global markets.
Economic Modelling,2019,79:47-56
|
CSCD被引
7
次
|
|
|
|
|
13.
Bloom N. The impact of uncertainty shocks.
Econometrica,2009,77(3):623-685
|
CSCD被引
24
次
|
|
|
|
|
14.
李正辉. 媒体信息对金融资产价格波动的影响以股票市场为例.
财经理论与实践,2018,39(3):56-61
|
CSCD被引
1
次
|
|
|
|
|
15.
李红权. 我国股市的对外溢出效应与国际影响力研究-基于Copula-DCC-GARCH模型.
系统科学与数学,2017,37(8):1790-1806
|
CSCD被引
11
次
|
|
|
|
|
16.
Liu L. Economic policy uncertainty and stock market volatility.
Finance Research Letters,2015,15:99-105
|
CSCD被引
4
次
|
|
|
|
|
17.
Dzielinski M. Measuring economic uncertainty and its impact on the stock market.
Finance Research Letters,2012,9(3):167-175
|
CSCD被引
3
次
|
|
|
|
|
18.
Christou C. Economic policy uncertainty and stock market returns in pacific-rim countries: Evidence based on a Bayesian panel VAR model.
Journal of Multinational Financial Management,2017,40:92-102
|
CSCD被引
1
次
|
|
|
|
|
19.
Arouri M. Economic policy uncertainty and stock markets: Long-run evidence from the US.
Finance Research Letters,2016,18:136-141
|
CSCD被引
3
次
|
|
|
|
|
20.
唐朝. 经济政策不确定性与金融市场参与--基于基金流量的经验证据.
投资研究,2017,36(11):76-93
|
CSCD被引
1
次
|
|
|
|
|
了解气象卫星更多信息，请访问